Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.5928
Annualized Std Dev 0.8258
Annualized Sharpe (Rf=0%) -0.7179

Row

Daily Return Statistics

Close
Observations 3111.0000
NAs 1.0000
Minimum -0.4514
Quartile 1 -0.0211
Median -0.0029
Arithmetic Mean -0.0022
Geometric Mean -0.0036
Quartile 3 0.0151
Maximum 0.4122
SE Mean 0.0009
LCL Mean (0.95) -0.0040
UCL Mean (0.95) -0.0003
Variance 0.0027
Stdev 0.0520
Skewness -0.2733
Kurtosis 15.9324

Downside Risk

Close
Semi Deviation 0.0370
Gain Deviation 0.0424
Loss Deviation 0.0418
Downside Deviation (MAR=210%) 0.0419
Downside Deviation (Rf=0%) 0.0380
Downside Deviation (0%) 0.0380
Maximum Drawdown 1.0000
Historical VaR (95%) -0.0665
Historical ES (95%) -0.1273
Modified VaR (95%) -0.0749
Modified ES (95%) -0.0749
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-12 NA -1.0000 3102 3096 NA
2008-11-13 2008-11-13 2008-11-17 -0.2322 3 1 2
2008-11-07 2008-11-07 2008-11-10 -0.0513 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA 41.2 -8.3 29.5
2009 7.4 13.6 -5.8 3.6 -4.5 1.1 -1.9 13.9 11.7 12.5 -1 1.3 62
2010 -4.4 -1 -2.5 7.2 6.6 2 0.1 -10.9 -2.3 0 -5.7 -0.2 -11.7
2011 -5.5 6.2 -2.4 0.3 9.5 -5.5 1.1 6.3 9 13.1 1.6 1.6 39.3
2012 -4.6 -3.5 -1.1 -3.1 10.4 -7.4 1.5 -1.6 -1.1 -3.7 -0.1 -3.7 -17.6
2013 -3.5 -0.9 1.1 3.1 4.2 -1.5 -4.8 1.7 -2.3 -0.9 0.9 -1.1 -4.4
2014 3.5 -1.8 -1.2 -0.6 -0.4 -1.9 2.1 -1.3 3.2 -3.6 2.3 3.3 3.4
2015 3.8 1 0.2 -1.9 -0.6 -3.7 0.8 9.2 -0.9 3.8 -3.1 2.8 11.3
2016 0.9 -10.1 -2.3 2 -0.8 1.3 0.6 0.9 -2.5 2.4 -1.8 -0.9 -10.5
2017 0.7 -5.9 1.5 -1.5 -2.9 0.4 -2 -0.9 -1 -0.5 -0.4 1.1 -11
2018 -1.2 4.3 -3.2 -1 -2.5 -0.1 -0.9 0 0.1 -1.8 -2.3 -2.5 -10.8
2019 -1.5 -1.3 -4.9 2.2 2.8 -2.8 4.2 -0.5 4.7 -3 0.6 -0.9 -0.8
2020 6.2 6 17.8 8.7 -3.6 -0.6 0.1 -1.2 -0.9 -1.1 -4.8 -3.7 22.9
2021 -3.8 -9 3.4 NA NA NA NA NA NA NA NA NA -9.4

Row

Price Chart

# tidytable [6 × 21]
  datadate    Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>      <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-06 2.29e6 SPY    90.9 -0.0554  -0.0565  -0.0682   -0.298   -0.386   -0.256   -0.142 GLD    72.2 -0.008   -0.0067
2 2008-11-07 2.17e6 SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232   -0.118 GLD    72.5  0.0039   0.0163
3 2008-11-10 2.35e6 SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242   -0.123 GLD    73.6  0.0149   0.0349
4 2008-11-11 2.51e6 SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
5 2008-11-12 2.99e6 SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
6 2008-11-13 2.29e6 SPY    91.2  0.0623   0.0034   0.0128   -0.300   -0.383   -0.263   -0.143 GLD    72.2  0.0307  -0.001 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart